MSFT Options History — August 2008 In August 2008, MSFT traded between $25.28 and $28.13. ATM implied volatility averaged 27.6%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 7.2% (HV 20d: 34.8%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.
Notable Days 2008-08-07 : Highest Volume — 274,285 contracts2008-08-11 : Largest IV spike — 14.4% change2008-08-11 : Highest IV Rank — 51.3%2008-08-04 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $27.34 $25.28 $28.13 $25.44 $27.29 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 27.6% 23.6% 32.8% 30.1% 25.8% Expected Move 8.0% 6.8% 9.3% 8.6% 7.4% HV 20d 34.8% 24.4% 44.0% 41.0% 25.8% HV 60d 33.7% 32.7% 34.6% 32.7% 33.5% IV Rank 34.7% 20.7% 51.3% 43.0% 27.6% IV Percentile 45.6% 15.5% 82.1% 66.3% 29.8% Term Structure 1.6% 0.0% 3.0% 1.9% 2.5% VWIV 28.4% 24.1% 32.5% 30.2% 25.1% Skew 25d 3.7% 1.3% 6.0% 1.3% 3.3% Skew 10d 6.8% 2.5% 11.1% 2.5% 4.5% Call IV 25d 26.4% 22.9% 30.9% 30.0% 24.2% Put IV 25d 30.1% 26.3% 35.1% 31.2% 27.5% Bid-Ask Spread % 3.51 2.08 5.69 2.47 2.70 Gamma HHI 0.11 0.10 0.12 0.12 0.10 Net GEX 26.3M -5.8M 42.1M -2.2M 24.7M Net DEX -186.1M -768.7M 946.9M 823.6M -56.2M Net VEX -19.5M -20.5M -16.9M -17.4M -19.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.28 2.29 0.87 0.65 Total Volume 98,171.714 26,748 274,285 96,545 29,796 Total OI 3,683,629.619 3,556,840 3,899,969 3,581,112 3,704,723
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-08-01 $25.44 $26.00 30.1% 8.6% 41.0% 43.0% 30.2% 1.3% 1.9% -2.2M 823.6M -17.4M 0.87 2.47 N/A N/A 51,691 44,854 1,960,888 1,620,224 2008-08-04 $25.28 $26.00 31.9% 9.3% 41.0% 48.6% 31.7% 3.3% 0.0% -5.8M 946.9M -16.9M 0.69 3.03 N/A N/A 48,515 33,584 1,988,193 1,629,429 2008-08-05 $26.21 $26.00 28.8% 8.4% 43.0% 38.9% 28.8% 4.1% 0.2% 13.1M 466.7M -17.9M 0.32 5.69 N/A N/A 113,508 36,471 2,006,083 1,650,936 2008-08-06 $27.02 $26.00 27.5% 8.3% 43.2% 34.7% 28.8% 3.5% 0.1% 31.8M -75.0M -19.0M 0.49 3.99 N/A N/A 149,303 72,818 2,047,341 1,670,828 2008-08-07 $27.39 $26.00 29.4% 9.0% 43.3% 40.6% 31.0% 4.6% 0.7% 34.5M -356.9M -19.4M 0.28 3.48 N/A N/A 214,517 59,768 2,058,129 1,666,947 2008-08-08 $28.13 $26.00 28.6% 8.7% 43.8% 38.4% 31.6% 5.3% 0.3% 39.8M -734.7M -20.5M 0.51 4.19 N/A N/A 85,547 43,525 2,091,846 1,691,058 2008-08-11 $27.90 $26.00 32.8% 9.0% 44.0% 51.3% 32.5% 6.0% 0.4% 35.2M -577.9M -20.1M 0.69 3.86 N/A N/A 78,097 53,917 2,082,176 1,698,222 2008-08-12 $28.12 $26.00 29.9% 8.3% 42.1% 42.3% 30.8% 5.0% 1.2% 42.1M -768.7M -19.9M 0.62 4.76 N/A N/A 64,596 40,025 2,097,512 1,682,080 2008-08-13 $27.91 $26.00 28.4% 8.2% 39.8% 37.7% 28.4% 4.7% 1.4% 40.3M -639.0M -19.7M 0.69 4.27 N/A N/A 54,284 37,650 2,093,128 1,692,607 2008-08-14 $27.91 $26.00 27.5% 7.9% 39.7% 34.8% 28.1% 4.1% 1.7% 40.8M -625.2M -19.8M 0.84 5.61 N/A N/A 84,499 71,043 2,097,827 1,706,169 2008-08-15 $27.81 $26.00 26.0% 7.5% 32.1% 30.2% 28.0% 3.3% 2.0% 32.9M -514.2M -20.4M 0.94 4.40 N/A N/A 57,438 54,111 2,146,947 1,753,022 2008-08-18 $27.69 $26.00 26.2% 7.5% 31.9% 30.9% 27.0% 2.9% 1.5% 25.8M -251.4M -20.1M 0.72 3.05 N/A N/A 40,218 28,915 1,978,203 1,578,637 2008-08-19 $27.32 $26.00 28.1% 8.0% 32.5% 36.6% 27.8% 3.0% 1.1% 21.6M -125.3M -20.1M 0.93 2.89 N/A N/A 28,477 26,376 1,992,494 1,586,664 2008-08-20 $27.29 $26.00 27.5% 7.9% 31.5% 34.8% 27.2% 2.5% 1.9% 21.8M -96.3M -19.9M 0.94 2.97 N/A N/A 22,478 21,168 1,993,950 1,582,788 2008-08-21 $27.18 $26.00 26.3% 7.5% 27.9% 31.0% 27.6% 2.4% 2.4% 20.9M -17.9M -19.7M 1.34 2.08 N/A N/A 24,115 32,285 1,999,491 1,585,954 2008-08-22 $27.84 $26.00 23.9% 6.8% 27.5% 23.6% 24.6% 3.3% 2.7% 28.9M -363.5M -20.0M 0.69 3.57 N/A N/A 25,978 17,796 2,002,880 1,603,832 2008-08-25 $27.66 $26.00 25.4% 7.3% 25.6% 28.2% 29.3% 3.7% 2.9% 27.7M -269.4M -19.7M 2.29 2.91 N/A N/A 24,946 57,010 2,016,226 1,609,357 2008-08-26 $27.27 $26.00 27.2% 7.8% 25.3% 32.0% 28.0% 3.3% 2.3% 20.9M -45.9M -19.7M 1.01 2.59 N/A N/A 19,419 19,520 2,014,024 1,644,505 2008-08-27 $27.56 $26.00 24.5% 7.0% 25.5% 23.5% 25.7% 3.7% 2.8% 25.6M -238.6M -19.4M 1.72 2.64 N/A N/A 9,829 16,919 2,019,595 1,641,764 2008-08-28 $27.94 $26.00 23.6% 6.8% 24.4% 20.7% 24.1% 3.4% 3.0% 31.4M -388.5M -20.0M 0.45 2.50 N/A N/A 45,952 20,648 2,019,897 1,649,646 2008-08-29 $27.29 $26.00 25.8% 7.4% 25.8% 27.6% 25.1% 3.3% 2.5% 24.7M -56.2M -19.4M 0.65 2.70 N/A N/A 18,086 11,710 2,044,523 1,660,200
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